基于不对称SV模型的隔夜信息对股市影响研究

文章通过建立扩展的SV模型,分析了隔夜信息对上证综合指数、深圳成分指数和香港恒生指数的影响,发现隔夜信息对三大股指均有预测能力。通过对比分析看出,由于内地股市和香港股市发展水平不一致,隔夜信息对不同类别市场的影响也存在很大差异。隔夜信息对内地股市的预测能力较小,主要是由于内地股市噪声交易比较多造成的,因此,需要进一步完善内地股市的信息效率。

Research on Impacts of Overnight Information on the Stock Market about Asymmetric SV Model

This paper,by introducing an extended Stochastic Volatility model,analyzes the effect of the overnight information on the Shanghai Composite index,Shenzhen Component index and the Heng Sheng index in Hong Kong.We found that the overnight information has predictive power over the three indexes.In addition,we made a comparison and found that the impacts of the overnight information on different types of market make different responses,as the mainland stock market and Hong Kong stock market development is inconsistent.The predictive power of the overnight information on the mainland stock market is smaller,as a result of more noise trading in the mainland stock market.Therefore,there is a need for further improvement of information efficiency of the mainland stock market.